Does Noise Signal Affect Flipping Activities?
In this paper, we report the explanatory power of noise signal and fundamentals on flipping activities of share trading. Flipping is defined as the percentage of opening day trading volume divided by the number of shares offered on the first trading day (Miller and Reily, 1987, and Aggarwal, 2003) i...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Universiti Utara Malaysia
2009
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| Online Access: | https://repo.uum.edu.my/id/eprint/25076/1/IJBF%206%202%202009%20111%20127.pdf |
| _version_ | 1825805218133049344 |
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| author | Nee, Chong Fen Ali, Ruhani Ahmad, Zamri |
| author_facet | Nee, Chong Fen Ali, Ruhani Ahmad, Zamri |
| author_sort | Nee, Chong Fen |
| collection | UUM |
| description | In this paper, we report the explanatory power of noise signal and fundamentals on flipping activities of share trading. Flipping is defined as the percentage of opening day trading volume divided by the number of shares offered on the first trading day (Miller and Reily, 1987, and Aggarwal, 2003) in an offer for sale. It is affected by investors’ opinion about, for example, the new issue’s future prospect on the first listing day.The initial premium which is defined as the difference between the opening price and the offer price divided by the offer price is used as a proxy for noise signal. Using initial public offers listed on the Main Board of Bursa Malaysia during the period of 1991 to 2003, we find support for the relationship between noise signal and flipping activity in the immediate aftermarket as evident in several models tested as well as the bullish and bearish market models. Among the fundamental factors included in this study, bigger size of offer was found to discourage flipping activities. |
| first_indexed | 2024-07-04T06:28:42Z |
| format | Article |
| id | uum-25076 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:28:42Z |
| publishDate | 2009 |
| publisher | Universiti Utara Malaysia |
| record_format | eprints |
| spelling | uum-250762018-10-31T01:19:13Z https://repo.uum.edu.my/id/eprint/25076/ Does Noise Signal Affect Flipping Activities? Nee, Chong Fen Ali, Ruhani Ahmad, Zamri HG Finance In this paper, we report the explanatory power of noise signal and fundamentals on flipping activities of share trading. Flipping is defined as the percentage of opening day trading volume divided by the number of shares offered on the first trading day (Miller and Reily, 1987, and Aggarwal, 2003) in an offer for sale. It is affected by investors’ opinion about, for example, the new issue’s future prospect on the first listing day.The initial premium which is defined as the difference between the opening price and the offer price divided by the offer price is used as a proxy for noise signal. Using initial public offers listed on the Main Board of Bursa Malaysia during the period of 1991 to 2003, we find support for the relationship between noise signal and flipping activity in the immediate aftermarket as evident in several models tested as well as the bullish and bearish market models. Among the fundamental factors included in this study, bigger size of offer was found to discourage flipping activities. Universiti Utara Malaysia 2009 Article PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/25076/1/IJBF%206%202%202009%20111%20127.pdf Nee, Chong Fen and Ali, Ruhani and Ahmad, Zamri (2009) Does Noise Signal Affect Flipping Activities? The International Journal of Banking and Finance, 6 (2). pp. 111-127. ISSN 1617-722 http://ijbf.uum.edu.my/index.php/previous-issues/138-the-international-journal-of-banking-and-finance-ijbf-vol-6-no-2-february-march-2009 |
| spellingShingle | HG Finance Nee, Chong Fen Ali, Ruhani Ahmad, Zamri Does Noise Signal Affect Flipping Activities? |
| title | Does Noise Signal Affect Flipping Activities? |
| title_full | Does Noise Signal Affect Flipping Activities? |
| title_fullStr | Does Noise Signal Affect Flipping Activities? |
| title_full_unstemmed | Does Noise Signal Affect Flipping Activities? |
| title_short | Does Noise Signal Affect Flipping Activities? |
| title_sort | does noise signal affect flipping activities |
| topic | HG Finance |
| url | https://repo.uum.edu.my/id/eprint/25076/1/IJBF%206%202%202009%20111%20127.pdf |
| work_keys_str_mv | AT neechongfen doesnoisesignalaffectflippingactivities AT aliruhani doesnoisesignalaffectflippingactivities AT ahmadzamri doesnoisesignalaffectflippingactivities |